Fix COSMO errors

[migarstka]

Using slighly different solver options should fix most of the errors when the test problems are solved with COSMO.jl.

Current errors:

LPs

• The errors disappear when the number of maximum iterations is increased to ~10000. As COSMO is using only first-order information and the tolerances are set to 1e-6 it will need more iterations than the default max_iter = 2500

SOCP

• This was caused because the maximum number of iterations was hit and the residuals were around 1e-5, so slightly above the required solver tolerance, but accurate enough for atol. I changed the MOI-wrapper to return the solution in such cases. (see commit: https://github.com/oxfordcontrol/COSMO.jl/commit/439f218cdfb0f6992d37d364e90917097d80ca53)

SDPs

• sdp_sigma_max_atom: The LMI constraint is chordal and structured, so COSMO will try to decompose the LMI. This caused a bug that I fixed here: https://github.com/oxfordcontrol/COSMO.jl/commit/fda29e161fe03f5f4a9ac1d9d1184efa8f544fa2 The decomposition now works fine.
• sdp_Partial_trace: Again caused by COSMO trying to decompose the LMI constraint. This is actually an interesting edge case that I haven't considered. The problem has a cascaded LMI constraint in its conic form: A = [B 0; 0 0] >= 0 where B >= 0. I am not sure atm how to efficiently check for these cases. That's why I turned the decomposition off for this testset, i.e. decomp = false.
• sdp_sdp_constraints: The problem suffers from very slow convergence. That's why I slightly increased the tolerances to 5e-7 and max_iter = 40000. I need to take a closer look to see what can be done to speed it up.

[ericphanson]

Awesome, thanks for the diagnosis and fixes!

[ericphanson]

We could also do a "variant", where we run it twice, once with decompose=true and once decompose=false (like the variants for the SDPA tests for example).